Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0900
Annualized Std Dev 0.2145
Annualized Sharpe (Rf=0%) 0.4198

Row

Daily Return Statistics

Close
Observations 4205.0000
NAs 1.0000
Minimum -0.1893
Quartile 1 -0.0048
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0064
Maximum 0.1204
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0135
Skewness -0.7706
Kurtosis 18.8068

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0094
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0143
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.5959
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0333
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0301
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2011-04-26 -0.5959 954 416 538
2020-02-21 2020-03-23 2020-11-10 -0.4099 184 22 162
2011-05-02 2011-10-03 2012-02-16 -0.2465 202 108 94
2018-01-29 2018-12-24 2019-04-12 -0.2158 304 229 75
2015-05-26 2016-02-11 2016-07-26 -0.1974 296 182 114

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA 0.2 0.7 1.1 0.2 1.5 0.4 4.2
2005 0.9 0.6 -0.2 1 0.9 0.3 0.4 0.1 0.8 -0.2 1.4 -0.4 5.9
2006 0.3 0.9 -0.3 -0.2 1.4 0.4 -0.6 0.5 -0.5 -0.7 -0.5 -0.4 0.2
2007 0.8 -0.6 0.1 0 0.5 -0.4 0.5 1.4 1.4 -2.1 1 -0.5 2
2008 2.1 -2.7 3.3 1.2 0.6 -0.3 -0.3 -0.9 -1.7 3.7 -9.8 3.3 -2.4
2009 -3.2 -1.2 0.9 -0.3 4 0.5 0 -2.3 -3.1 -2.9 1.4 -1 -7.3
2010 1.8 1.6 0.2 -2.3 -3 -0.5 0 3.8 0 -0.1 1.9 -0.2 3.1
2011 1.4 -1.5 0.5 0.1 -1.7 1.5 -1 -1.6 -2.1 -2.8 0 -0.4 -7.5
2012 1.5 0.8 0.3 0.6 -2.6 2.7 -0.6 0.7 0 2 0.3 1.5 7.4
2013 0.8 -0.2 -0.8 -1.2 -1.2 0.8 1.7 -0.9 0.9 0 -0.3 0.3 -0.1
2014 -0.6 0.1 0.8 0.2 0.3 0.7 -0.1 0.4 -1.5 1.3 -1.1 -0.9 -0.4
2015 -1.3 -0.2 -0.7 1.3 0.2 0.6 0.2 -2.9 -0.1 0 1.2 -0.9 -2.7
2016 0.4 2.1 0.4 -0.6 0.2 0.1 -0.3 0 0.6 -0.8 -0.6 -0.5 1
2017 -0.2 1.2 -0.1 0.2 0.9 0.3 0.3 0.5 0.4 0.1 -0.1 -0.5 3.1
2018 -0.1 -0.9 1.1 0.2 0.8 0.2 -0.5 0 -0.3 1.1 0.5 0.9 3.1
2019 0.4 0.6 1.4 -0.7 -1.1 0.6 -1.6 0.3 -1.5 1.2 -0.6 0.3 -0.7
2020 -1.5 -2.5 -5.3 -3.4 1.2 -0.1 -0.1 0.5 0.8 -1.3 0.9 0.4 -10
2021 1.7 1.9 -0.2 NA NA NA NA NA NA NA NA NA 3.5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart